کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129762 1489851 2017 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On copula-based conditional quantile estimators
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
On copula-based conditional quantile estimators
چکیده انگلیسی

Recently, two different copula-based approaches have been proposed to estimate the conditional quantile function of a variable Y with respect to a vector of covariates X: the first estimator is related to quantile regression weighted by the conditional copula density, while the second estimator is based on the inverse of the conditional distribution function written in terms of margins and the copula. Using empirical processes, we show that even if the two estimators look quite different, their estimation errors have the same limiting distribution. Also, we propose a bootstrap procedure for the limiting process in order to construct uniform confidence bands around the conditional quantile function.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 128, September 2017, Pages 14-20
نویسندگان
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